Threshold mixed data sampling (TMIDAS) regression models with an application to GDP forecast errors
Author:
Funder
National Natural Science Foundation of China
Publisher
Springer Science and Business Media LLC
Subject
Economics and Econometrics,Social Sciences (miscellaneous),Mathematics (miscellaneous),Statistics and Probability
Link
https://link.springer.com/content/pdf/10.1007/s00181-021-02028-0.pdf
Reference24 articles.
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3. Chen H (2015) Robust estimation and inference for threshold models with integrated regressors. Econom Theory 31(04):778–810
4. Davies RB (1987) Hypothesis testing when a nuisance parameter is present only under the alternative. Biometrika 74(1):33–43
5. Galvao AB (2013) Changes in predictive ability with mixed frequency data. Int J Forecast 29(3):395–410
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